Description
Quant Developer - C++ - Derivative Pricing
My client a major investment bank are looking to hire a Quant developer on a 6 month contract to be based in Brussels 5 days week.
Description:
Risk management of trading and investment activities requires the use of sophisticated mathematical models. The application of these mathematical models requires complex systems for feeding the models with specific market and position data and for performing heavy mathematical computations and database queries. The model validation quants within RMIR use and develop an internal C++ toolkit for assessing and challenging the mathematical models behind the applied and proposed risk methodologies. This position is about helping and supporting these model validation quants by maintaining the toolkit, performing implementation of models, running quantitative analyses and impact studies and writing technical validation reports.
Experience:
Several years of work experience with several derivatives pricing models including volatility modelling and default modelling on the trading perimeter (PD/LGD modelling on the banking book side is not relevant)
>10k lines of C++ code written (any other language or less coding experience is not relevant)
Experience with SQL, multi-threaded coding, low level C++ programming, Excel12 standard.
Education/Soft skills:
Bachelor or Masters or PhD - Applied Mathematics, Stochastic/Statistic etc
Flexible, accurate & control minded
Autonomy, commitment and perseverance
Eager for change management, dynamic
Quick self-starter, pro-active attitude
Team player
Good communication and influencing skills
Good Quantitative analysis and synthesis skills
This contract will be based 5 days a week onsite in Brussels.
Please contact Matthew Burger for more details.